If you slowly stroke the lever, you can watch exactly that occur on nearly every Henry. SLOW stroking gives the round time to ride too high and miss the chamber. A sharp stroke on the lever should cure your problem. If not, then I would look for other issues.
Funny, but the same thing will occur on my semi auto handguns when new shooters who can't use the slide release, ride the slide home instead of releasing it.
![Wink ;)](./images/smilies/icon_e_wink.gif)
A proper technique usually cures that too, "Slingshot Release," I call it.
![Razz :P](./images/smilies/icon_razz.gif)